英文标题：
《Seasonal Stochastic Volatility and the Samuelson Effect in Agricultural
Futures Markets》
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作者：
Lorenz Schneider and Bertrand Tavin
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最新提交年份：
2018
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英文摘要：
We introduce a multi-factor stochastic volatility model for commodities that incorporates seasonality and the Samuelson effect. Conditions on the seasonal term under which the corresponding volatility factor is well-defined are given, and five different specifications of the seasonality pattern are proposed. We calculate the joint characteristic function of two futures prices for different maturities in the risk-neutral measure. The model is then presented under the physical measure, and its state-space representation is derived, in order to estimate the parameters with the Kalman filter for time series of corn, cotton, soybean, sugar and wheat futures from 2007 to 2017. The seasonal model significantly outperforms the nested non-seasonal model in all five markets, and we show which seasonality patterns are particularly well-suited in each case. We also confirm the importance of correctly modelling the Samuelson effect in order to account for futures with different maturities. Our results are clearly confirmed in a robustness check carried out with an alternative dataset of constant maturity futures for the same agricultural markets.
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中文摘要：
我们引入了一个包含季节性和萨缪尔森效应的商品多因素随机波动模型。给出了定义相应波动因子的季节性条件，并提出了五种不同的季节性模式规范。在风险中性测度中，我们计算了不同到期日的两种期货价格的联合特征函数。然后在物理量测下提出模型，并推导其状态空间表示，以便使用卡尔曼滤波器估计2007-2017年玉米、棉花、大豆、糖和小麦期货时间序列的参数。在所有五个市场中，季节性模型的表现都显著优于嵌套非季节性模型，并且我们展示了哪种季节性模式特别适合于每种情况。我们还确认了正确建模萨缪尔森效应的重要性，以解释不同到期日的期货。我们的结果在对相同农产品市场的固定期限期货替代数据集进行的稳健性检查中得到了明确证实。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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